Xiaoyao
- Role
- Front Office Quant at Wells Fargo
- Location
- New York, NY, US
- LinkedIn followers
- 500 followers
About Xiaoyao
Expert as Front Office Quant Modeler and Developer in C++. Front Office Quant…
Experience
Front Office Quant
Nov 2018 — Present
Performed in-depth research in prepayment model with calculation of prepayment and price of Mortgage-Backed Securities using linear /non-linear optimization, Monte Carlo Simulations, and numerical methods. Implemented the prepayment model using Objected Oriented C++. Wrote efficient VBA code to convert prepayment model input in Excel to structured Json File, then implemented multiple Data Readers in C++ to read Json and txt files in different formats into the model. Wrote Time-Series, Data Readers and Boost Unit/Integration Tests to read and verify the correctness of all inputs (Turnover and Refinance Component’s parameters, Housing Price Index, LLPA, Conforming Limit) of prepayment model in C++. Implemented Yield Curve Model in Python 5. Lead the development of Integration Test (Swap, Cap, Swaption, XCCY) using Front Office Quant Library (C++)
Skills
- Latex
- Java
- Statistics
- Derivative Securities
- Decision Making
- Theoretical Physics
- Fortran
- Physics
- China Modern History
- Probability Theory
- R
- C++
- Python
- Data Structures
- Stochastic Calculus
- Research
- Mpi
- Matlab
- Linux
- Quantum Mechanics
- Algorithms
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